Corporate Sustainability Assessment and Risk Perception: Empirical Evidences from Standard & Poor’s Index

Abstract

Abstract Over last years, responsibility and sustainability issues have become a corporate asset able to enhance firms’ market value and, at the same time, meeting stakeholders’ needs. The additional information in regards to corporate social and environmental commitment has been disclosed on listed markets, implying a lower asymmetry between investors and firms. As a consequence, investments uncertainty has been decreasing through this non financial information which has made investors’ capital allocation more responsible. This paper investigates the impact of corporate social responsibility and sustainability on investors’ risk perception according to Environmental, Social, and Governance (ESG) paradigm. We focused on a double risk measurement - systematic and idiosyncratic - developing an empirical study on 77 companies listed on Standard & Poor’s index and belonging to “Consumer Discretionary” industry cluster. Empirical findings highlight that an overall ESG assessment affects positively investors’ risk perception, although - in some cases - this effect is partially balanced by the single assessments Environmental, Social, and Governance.